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st: Funky -lrtest- results


From   "Danielle H. Ferry" <dferry@nber.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: Funky -lrtest- results
Date   Wed, 14 Jun 2006 10:32:49 -0400

Dear Statalisters,

I am comparing 2 models estimated using -arima-. When I run -lrtest-
afterwards, I get the following:

lrtest v2 v1
(log likelihoods of null models cannot be compared)

Likelihood-ratio test                                  LR chi2(5)  =      9.11
(Assumption: v1 nested in v2)                          Prob > chi2 =    0.1048

What does the first message in parentheses mean? Does this mean that the
results of the LR test shown are invalid? 

Thanks,
Danielle Ferry

--
National Bureau of Economic Research <http://www.nber.org>


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